UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-05012

 

 

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

(Exact name of registrant as specified in charter)

 

c/o Credit Suisse Asset Management, LLC
466 Lexington Avenue
New York, New York

 

10017

(Address of principal executive offices)

 

(Zip code)

 

J. Kevin Gao, Esq.
466 Lexington Avenue
New York, New York 10017

(Name and address of agent for service)

 

Registrant's telephone number, including area code:

(212) 875-3500

 

 

Date of fiscal year end:

December 31st

 

 

 

 

Date of reporting period:

July 1, 2006 to September 30, 2006

 

 




Item 1:                   Schedule of Investments




Credit Suisse Asset Management Income Fund, Inc.

Schedule of Investments

September 30, 2006 (unaudited)

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

DOMESTIC SECURITIES (86.4%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE OBLIGATIONS (85.8%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense (1.0%)

 

 

 

 

 

 

 

 

 

$

275

 

DRS Technologies, Inc., Company Guaranteed Notes (Callable 02/01/11 @ $103.81)

 

(B , B3)

 

02/01/18

 

7.625

 

$

280,500

 

450

 

DRS Technologies, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $103.44)

 

(B , B3)

 

11/01/13

 

6.875

 

446,625

 

475

 

K&F Acquisition, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $103.88)

 

(B- , Caa1)

 

11/15/14

 

7.750

 

478,562

 

725

 

L-3 Communication Corp., Global Senior Subordinated Notes (Callable 01/15/10 @ $102.94)

 

(BB+ , Ba3)

 

01/15/15

 

5.875

 

692,375

 

150

 

TransDigm, Inc., Rule 144A, Senior Subordinated Notes (Callable 07/15/09 @ $105.81)‡

 

(B- , B3)

 

07/15/14

 

7.750

 

151,875

 

 

 

 

 

 

 

 

 

 

 

2,049,937

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture (0.4%)

 

 

 

 

 

 

 

 

 

825

 

Southern States Cooperative, Inc., Rule 144A, Senior Notes (Callable 11/01/07 @ $108.00)‡

 

(B , Caa1)

 

11/01/10

 

10.500

 

868,312

 

 

 

 

 

 

 

 

 

 

 

 

 

Auto Loans (4.0%)

 

 

 

 

 

 

 

 

 

1,725

 

Ford Motor Credit Co., Global Notes

 

(B , B1)

 

10/01/13

 

7.000

 

1,602,668

 

2,445

 

Ford Motor Credit Co., Notes

 

(B , B1)

 

06/16/08

 

6.625

 

2,408,983

 

425

 

Ford Motor Credit Co., Senior Notes

 

(B , B1)

 

08/10/11

 

9.875

 

440,215

 

2,650

 

General Motors Acceptance Corp., Global Notes

 

(BB , Ba1)

 

05/15/09

 

5.625

 

2,585,745

 

1,435

 

General Motors Acceptance Corp., Global Notes

 

(BB , Ba1)

 

12/01/14

 

6.750

 

1,403,087

 

 

 

 

 

 

 

 

 

 

 

8,440,698

 

 

 

 

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (2.9%)

 

 

 

 

 

 

 

 

 

525

 

Accuride Corp., Global Company Guaranteed Notes (Callable 02/01/10 @ $104.25)

 

(B- , B3)

 

02/01/15

 

8.500

 

490,875

 

650

 

Altra Industrial Motion, Inc., Global Secured Notes (Callable 12/01/08 @ $104.50)

 

(CCC+ , B1)

 

12/01/11

 

9.000

 

666,250

 

800

 

American Tire Distributors Holdings, Inc., Global Senior Notes (Callable 04/01/09 @ $105.38)§

 

(CCC+ , Caa1)

 

04/01/13

 

10.750

 

734,000

 

775

 

Cambridge Industries, Inc., Senior Subordinated Notes^

 

(NR , NR)

 

07/15/07

 

10.250

 

0

 

1,200

 

Goodyear Tire & Rubber Co., Global Senior Notes (Callable 07/01/10 @ $104.50)

 

(B- , B2)

 

07/01/15

 

9.000

 

1,224,000

 

700

 

Insurance Auto Auctions, Inc., Global Company Guaranteed Notes (Callable 04/01/09 @ $105.50)

 

(CCC+ , Caa1)

 

04/01/13

 

11.000

 

700,000

 

450

 

Keystone Automotive Operations, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.88)

 

(B- , Caa1)

 

11/01/13

 

9.750

 

425,250

 

250

 

Lear Corp., Series B, Company Guaranteed Notes

 

(B- , B3)

 

05/15/09

 

8.110

 

242,500

 

775

 

Stanadyne Corp., Global Senior Subordinated Notes (Callable 08/15/09 @ $105.00)

 

(CCC+ , Caa1)

 

08/15/14

 

10.000

 

786,625

 

350

 

Tenneco Automotive, Inc., Global Company Guaranteed Notes (Callable 11/15/09 @ $104.31)

 

(B- , B3)

 

11/15/14

 

8.625

 

347,375

 

600

 

Visteon Corp., Global Senior Notes§

 

(B- , Caa1)

 

08/01/10

 

8.250

 

588,000

 

 

 

 

 

 

 

 

 

 

 

6,204,875

 

 

 

 

 

 

 

 

 

 

 

 

 

Automotive (0.8%)

 

 

 

 

 

 

 

 

 

600

 

Ford Motor Co., Global Notes§

 

(B , B3)

 

07/16/31

 

7.450

 

466,500

 

750

 

General Motors Corp., Global Debentures Notes§

 

(B- , Caa1)

 

07/15/33

 

8.375

 

652,500

 

700

 

General Motors Corp., Senior Notes

 

(B- , Caa1)

 

07/15/13

 

7.125

 

618,625

 

 

 

 

 

 

 

 

 

 

 

1,737,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Beverage (0.3%)

 

 

 

 

 

 

 

 

 

400

 

Constellation Brands, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

09/01/16

 

7.250

 

406,500

 

250

 

Le-Natures, Inc., Rule 144A, Senior Subordinated Notes (Callable 06/15/08 @ $104.25)‡

 

(CCC+ , B3)

 

06/15/13

 

9.000

 

258,750

 

 

 

 

 

 

 

 

 

 

 

665,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Brokerage (0.2%)

 

 

 

 

 

 

 

 

 

175

 

E*TRADE Financial Corp., Global Senior Notes (Callable 06/15/08 @ $104.00)

 

(B+ , Ba2)

 

06/15/11

 

8.000

 

182,000

 

315

 

E*TRADE Financial Corp., US Domestic Senior Notes (Callable 12/01/10 @ $103.94)

 

(B+ , Ba2)

 

12/01/15

 

7.875

 

333,112

 

 

 

 

 

 

 

 

 

 

 

515,112

 

 

 

 

 

 

 

 

 

 

 

 

 

Building & Construction (1.8%)

 

 

 

 

 

 

 

 

 

650

 

Ashton Woods, Global Senior Subordinated Notes (Callable 10/01/10 @ $104.75)

 

(B- , B3)

 

10/01/15

 

9.500

 

565,500

 

500

 

K Hovnanian Enterprises, Inc., Global Company Guaranteed Notes

 

(BB , Ba1)

 

01/15/16

 

6.250

 

442,500

 

600

 

KB Home, Senior Notes§

 

(BB+ , Ba1)

 

06/15/15

 

6.250

 

554,801

 

625

 

Standard Pacific Corp., Senior Notes§

 

(BB , Ba2)

 

08/15/15

 

7.000

 

565,625

 

750

 

Technical Olympic USA, Inc., Global Senior Subordinated Notes§

 

(B- , B2)

 

01/15/15

 

7.500

 

577,500

 

125

 

Technical Olympic USA, Inc., Rule 144A, Senior Notes‡

 

(B+ , Ba2)

 

04/01/11

 

8.250

 

115,781

 

425

 

WCI Communities, Inc., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.31)§

(B+ , B1)

 

03/15/15

 

6.625

 

341,062

 

250

 

William Lyon Homes, Inc., Global Senior Notes (Callable 02/15/09 @ $103.75)

 

(B , B3)

 

02/15/14

 

7.500

 

201,250

 

500

 

William Lyon Homes, Inc., Global Senior Notes (Callable 12/15/08 @ $103.81)§

 

(B , B3)

 

12/15/12

 

7.625

 

406,250

 

 

 

 

 

 

 

 

 

 

 

3,770,269

 

 




 

Building Materials (3.5%)

 

 

 

 

 

 

 

 

 

750

 

Associated Materials, Inc., Global Senior Discount Notes (Callable 03/01/09 @ $105.63)+

 

(CCC , Caa2)

 

03/01/14

 

0.000

 

416,250

 

300

 

Building Materials Corp. of America, Global Secured Notes (Callable 08/01/09 @ $103.88)

 

(B+ , B3)

 

08/01/14

 

7.750

 

267,750

 

1,000

 

Coleman Cable, Inc., Global Company Guaranteed Notes (Callable 10/10/08 @ $104.94)

 

(B- , B3)

 

10/01/12

 

9.875

 

1,005,000

 

300

 

Dayton Superior Corp., Company Guaranteed Notes (Callable 06/15/07 @ $102.17)

 

(CCC- , Caa3)

 

06/15/09

 

13.000

 

283,500

 

500

 

Dayton Superior Corp., Global Secured Notes (Callable 06/15/07 @ $102.81)

 

(CCC+ , Caa1)

 

09/15/08

 

10.750

 

517,500

 

875

 

Goodman Global Holding Company, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $103.94)§

 

(B- , B3)

 

12/15/12

 

7.875

 

837,812

 

400

 

Interface, Inc., Global Senior Subordinated Notes (Callable 02/01/09 @ $104.75)

 

(CCC , Caa1)

 

02/01/14

 

9.500

 

414,000

 

325

 

Norcraft Companies, Global Senior Subordinated Notes (Callable 11/01/07 @ $104.50)

 

(B- , B1)

 

11/01/11

 

9.000

 

331,094

 

250

 

Norcraft Holdings, Global Senior Discount Notes (Callable 09/01/08 @ $104.88)+

 

(B- , B3)

 

09/01/12

 

0.000

 

203,750

 

750

 

NTK Holdings, Inc., Global Senior Discount Notes (Callable 09/01/09 @ $105.38)+§

 

(CCC+ , Caa1)

 

03/01/14

 

0.000

 

521,250

 

900

 

Ply Gem Industries, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)§

 

(B- , B3)

 

02/15/12

 

9.000

 

722,250

 

500

 

RMCC Acquisition Co., Rule 144A, Senior Subordinated Notes (Callable 11/01/08 @ $104.75)‡

 

(CCC+ , Caa1)

 

11/01/12

 

9.500

 

520,000

 

750

 

Scranton Products, Inc., Global Senior Notes (Callable 07/01/09 @ $105.25)

 

(B- , B3)

 

07/01/13

 

10.500

 

766,875

 

700

 

THL Buildco (Nortek), Inc., Global Senior Subordinated Notes (Callable 09/01/09 @ $104.25)

 

(B- , NR)

 

09/01/14

 

8.500

 

665,000

 

375

 

Werner Holdings Company, Inc., Series A, Company Guaranteed NotesØ

 

(NR , NR)

 

11/15/07

 

10.000

 

54,375

 

 

 

 

 

 

 

 

 

 

 

7,526,406

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (2.9%)

 

 

 

 

 

 

 

 

 

322

 

BCP Crystal Holdings Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.81)

 

(B , B3)

 

06/15/14

 

9.625

 

350,980

 

455

 

Crystal U.S. Holdings/U.S. Sub 3, Series B, Global Senior Discount Notes (Callable 10/01/09 @ $105.25)+

 

(B , B3)

 

10/01/14

 

0.000

 

371,394

 

264

 

Huntsman Co. LLC, Global Company Guaranteed Notes (Callable 07/15/08 @ $105.75)

 

(B , B2)

 

07/15/12

 

11.500

 

301,620

 

600

 

KI Holdings, Inc., Global Senior Discount Notes (Callable 11/15/09 @ $104.94)+

 

(B- , B3)

 

11/15/14

 

0.000

 

444,000

 

750

 

Lyondell Chemical Co., Global Company Guaranteed (Callable 06/01/08 @ $105.25)

 

(BB , Ba2)

 

06/01/13

 

10.500

 

828,750

 

225

 

Lyondell Chemical Co., Senior Unsecured Notes (Callable 09/15/10 @ $104.00)

 

(B+ , B1)

 

09/15/14

 

8.000

 

228,937

 

875

 

Lyondell Chemical Co., Senior Unsecured Notes (Callable 09/15/11 @ $104.13)

 

(B+ , B1)

 

09/15/16

 

8.250

 

892,500

 

300

 

Millennium America, Inc., Global Company Guaranteed Notes

 

(B+ , B1)

 

06/15/08

 

9.250

 

310,500

 

1,300

 

Nalco Finance Holdings, Inc., Global Senior Notes (Callable 02/01/09 @ $104.50)+

 

(B- , B3)

 

02/01/14

 

0.000

 

1,027,000

 

575

 

PolyOne Corp., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.31)

 

(B+ , B2)

 

05/15/10

 

10.625

 

621,000

 

350

 

PolyOne Corp., Senior Notes§

 

(B+ , B2)

 

05/01/12

 

8.875

 

355,250

 

357

 

Terra Capital, Inc., Global Secured Notes (Callable 06/01/07 @ $105.75)

 

(B- , B2)

 

06/01/10

 

11.500

 

390,022

 

 

 

 

 

 

 

 

 

 

 

6,121,953

 

 

 

 

 

 

 

 

 

 

 

 

 

Computer Hardware (0.3%)

 

 

 

 

 

 

 

 

 

700

 

Activant Solutions, Inc., Rule 144A, Senior Subordinated Notes (Callable 05/01/11 @ $104.75)‡

 

(CCC+ , Caa1)

 

05/01/16

 

9.500

 

651,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Consumer - Products (2.8%)

 

 

 

 

 

 

 

 

 

925

 

AAC Group Holding Corp., Global Senior Discount Notes (Callable 10/01/08 @ $105.13)+

 

(CCC+ , B3)

 

10/01/12

 

0.000

 

772,375

 

950

 

Amscan Holdings, Inc., Global Senior Subordinated Notes (Callable 05/01/09 @ $104.38)

 

(B- , Caa1)

 

05/01/14

 

8.750

 

864,500

 

750

 

Del Laboratories, Inc., Global Company Guaranteed Notes

 

(CCC , Caa2)

 

02/01/12

 

8.000

 

661,875

 

800

 

Jarden Corp., Company Guaranteed Notes (Callable 05/01/07 @ $104.87)

 

(B- , B3)

 

05/01/12

 

9.750

 

848,000

 

970

 

Playtex Products, Inc., Global Company Guaranteed Notes (Callable 06/01/07 @ $103.13)

 

(B- , Caa1)

 

06/01/11

 

9.375

 

1,018,500

 

819

 

Prestige Brands, Inc., Global Senior Subordinated Notes (Callable 04/15/08 @ $104.63)

 

(B- , B3)

 

04/15/12

 

9.250

 

827,190

 

500

 

Revlon Consumer Products Corp., Global Senior Notes (Callable 04/01/08 @ $104.75)§

 

(CCC- , Caa2)

 

04/01/11

 

9.500

 

445,000

 

525

 

Samsonite Corp., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.44)

 

(B , B3)

 

06/01/11

 

8.875

 

552,562

 

 

 

 

 

 

 

 

 

 

 

5,990,002

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (1.2%)

 

 

 

 

 

 

 

 

 

250

 

Amsted Industries, Inc., Rule 144A, Senior Notes (Callable 10/15/07 @ $105.12)‡

 

(B , B3)

 

10/15/11

 

10.250

 

268,750

 

300

 

Blount, Inc., Senior Subordinated Notes (Callable 08/01/08 @ $104.44)

 

(B- , Caa1)

 

08/01/12

 

8.875

 

300,750

 

400

 

RBS Global, Inc. & Rexnord Corp., Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ $105.88)‡

 

(CCC+ , Caa1)

 

08/01/16

 

11.750

 

414,000

 

150

 

RBS Global, Inc.& Rexnord Corp., Rule 144A, Company Guaranteed Notes (Callable 08/01/10 @ $104.75)‡

 

(CCC+ , B3)

 

08/01/14

 

9.500

 

153,000

 

575

 

Sensus Metering Systems, Inc., Global Senior Subordinated Notes (Callable 12/15/08 @ $104.31)

 

(B- , Caa1)

 

12/15/13

 

8.625

 

562,062

 

875

 

TriMas Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.94)

 

(CCC+ , B3)

 

06/15/12

 

9.875

 

813,750

 

 

 

 

 

 

 

 

 

 

 

2,512,312

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Generation (2.1%)

 

 

 

 

 

 

 

 

 

37

 

AES Corp., Senior Notes

 

(B , B1)

 

06/01/09

 

9.500

 

39,146

 

400

 

AES Corp., Senior Notes

 

(B , B1)

 

03/01/14

 

7.750

 

418,000

 

800

 

Calpine Generating Company LLC, Global Secured Notes (Callable 04/01/08 @ $103.50)#Ø

 

(D , NR)

 

04/01/10

 

11.080

 

846,000

 

850

 

Dynegy Holdings, Inc., Global Company Guaranteed Notes (Callable 06/15/10 @ $103.19)

 

(B- , B2)

 

05/01/16

 

8.375

 

869,125

 

500

 

Edison Mission Energy, Senior Notes

 

(B+ , B1)

 

06/15/09

 

7.730

 

516,250

 

400

 

Midwest Generation LLC, Global Secured Notes (Callable 05/01/09 @ $104.38)

 

(B+ , Ba2)

 

05/01/34

 

8.750

 

429,000

 

125

 

Midwest Generation LLC, Series B, Global Pass Through Certificates

 

(BB- , Ba2)

 

01/02/16

 

8.560

 

133,125

 

375

 

NRG Energy, Inc., Senior Notes (Callable 02/01/11 @ $103.69)

 

(B- , B1)

 

02/01/16

 

7.375

 

373,594

 

250

 

Reliant Energy, Inc., Secured Notes (Callable 12/15/09 @ $103.38)

 

(B+ , B2)

 

12/15/14

 

6.750

 

239,062

 

500

 

Reliant Resources, Inc., Global Secured Notes (Callable 07/15/08 @ $104.75)

 

(B , B2)

 

07/15/13

 

9.500

 

521,250

 

 

 

 

 

 

 

 

 

 

 

4,384,552

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric - Integrated (0.6%)

 

 

 

 

 

 

 

 

 

400

 

Allegheny Energy Supply Company LLC, Global Notes

 

(BB- , Ba3)

 

03/15/11

 

7.800

 

429,000

 

250

 

CMS Energy Corp., Global Senior Notes

 

(B+ , Ba3)

 

08/01/10

 

7.750

 

263,750

 

200

 

CMS Energy Corp., Senior Notes

 

(B+ , Ba3)

 

01/15/09

 

7.500

 

207,000

 

500

 

Mirant Americas Generation LLC, Senior NotesØ

 

(NR , NR)

 

05/01/06

 

7.625

 

0

 

300

 

Mirant Corp., Rule 144A, Senior Notes‡Ø

 

(NR , NR)

 

07/15/04

 

7.400

 

3,750

 

300

 

Sierra Pacific Resources, Global Senior Notes (Callable 03/15/09 @ $104.31)

 

(B- , B1)

 

03/15/14

 

8.625

 

325,415

 

 

 

 

 

 

 

 

 

 

 

1,228,915

 




 

Electronics (1.7%)

 

 

 

 

 

 

 

 

 

900

 

Amkor Technology, Inc., Global Senior Notes (Callable 05/15/08 @ $103.88)

 

(CCC- , Caa1)

 

05/15/13

 

7.750

 

829,125

 

179

 

Ampex Corp., Secured Notes^

 

(NR , NR)

 

08/15/08

 

12.000

 

179,191

 

700

 

Sanmina-SCI Corp., Senior Subordinated Notes (Callable 03/01/11 @ $104.06)

 

(B , Ba3)

 

03/01/16

 

8.125

 

689,500

 

775

 

Spansion, Inc., Rule 144A, Senior Notes (Callable 01/15/11 @ $105.63)‡

 

(B , B2)

 

01/15/16

 

11.250

 

815,687

 

450

 

UCAR Finance, Inc. Company Guaranteed (Callable 02/15/07 @ $102.13)

 

(B- , B2)

 

02/15/12

 

10.250

 

474,750

 

600

 

Viasystems, Inc., Global Senior Subordinated Notes (Callable 01/15/08 @ $105.25)

 

(CCC+ , Caa1)

 

01/15/11

 

10.500

 

592,500

 

 

 

 

 

 

 

 

 

 

 

3,580,753

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - Exploration & Production (1.9%)

 

 

 

 

 

 

 

 

 

1,627

 

Chesapeake Energy Corp., Senior Notes (Callable 01/15/09 @ $103.44)

 

(BB , Ba2)

 

01/15/16

 

6.875

 

1,598,527

 

150

 

Comstock Resources, Inc., Senior Notes (Callable 03/01/08 @ $103.44)

 

(B , B2)

 

03/01/12

 

6.875

 

143,812

 

600

 

El Paso Production Holding Co., Global Company Guaranteed Notes (Callable 06/01/08 @ $103.88)

 

(B+ , B1)

 

06/01/13

 

7.750

 

616,500

 

125

 

Encore Acquisition Co., Company Guaranteed Notes (Callable 12/01/10 @ $103.63)

 

(B , B1)

 

12/01/17

 

7.250

 

120,937

 

100

 

Forest Oil Corp., Global Company Guaranteed Notes (Callable 05/01/07 @ $103.88)

 

(B+ , B1)

 

05/01/14

 

7.750

 

101,500

 

300

 

Hilcorp Energy I LP/Hilcorp Finance Co., Rule 144A, Senior Notes (Callable 12/15/06 @ $104.50)‡

 

(B , B3)

 

06/01/16

 

9.000

 

311,250

 

725

 

PetroHawk Energy Corp., Rule 144A, Company Guaranteed (Callable 07/15/10 @ $104.56)‡

 

(B- , B3)

 

07/15/13

 

9.125

 

732,250

 

200

 

Range Resources, Corp., Global Company Guaranteed Notes (Callable 03/15/10 @ $103.19)

 

(B , B1)

 

03/15/15

 

6.375

 

191,000

 

300

 

Whiting Petroleum Corp., Global Senior Subordinated Notes (Callable 05/01/08 @ $103.63)

 

(B- , B1)

 

05/01/12

 

7.250

 

295,500

 

 

 

 

 

 

 

 

 

 

 

4,111,276

 

 

 

 

 

 

 

 

 

 

 

 

 

Environmental (1.1%)

 

 

 

 

 

 

 

 

 

1,650

 

Allied Waste North America, Inc., Series B, Global Senior Notes (Callable 04/15/09 @ $103.69)§

 

(B+ , B3)

 

04/15/14

 

7.375

 

1,633,500

 

750

 

Waste Services, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.75)

 

(CCC , Caa1)

 

04/15/14

 

9.500

 

772,500

 

 

 

 

 

 

 

 

 

 

 

2,406,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (1.2%)

 

 

 

 

 

 

 

 

 

750

 

Duane Reade, Inc., Global Senior Subordinated Notes (Callable 08/01/08 @ $104.88)§

 

(CCC , Caa3)

 

08/01/11

 

9.750

 

650,625

 

150

 

Ingles Markets, Inc., Global Company Guaranteed Notes (Callable 12/01/06 @ $104.44)

 

(B , B3)

 

12/01/11

 

8.875

 

157,125

 

750

 

Rite Aid Corp., Global Company Guaranteed Notes (Callable 01/15/10 @ $103.75)

 

(B+ , B2)

 

01/15/15

 

7.500

 

714,375

 

925

 

Stater Brothers Holdings, Inc., Global Senior Notes (Callable 06/15/08 @ $104.06)

 

(BB- , B1)

 

06/15/12

 

8.125

 

934,250

 

 

 

 

 

 

 

 

 

 

 

2,456,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Food - Wholesale (0.9%)

 

 

 

 

 

 

 

 

 

100

 

Agrilink Foods, Inc., Company Guaranteed Notes (Callable 11/01/06 @ $101.98)

 

(B- , B3)

 

11/01/08

 

11.875

 

100,625

 

200

 

Dole Foods Co., Debentures Notes

 

(B , B3)

 

07/15/13

 

8.750

 

188,000

 

400

 

National Beef Packing Company LLC, Global Senior Notes (Callable 08/01/07 @ $105.25)

 

(B- , Caa1)

 

08/01/11

 

10.500

 

419,000

 

700

 

Pinnacle Foods Holding Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $104.13)

 

(B- , B3)

 

12/01/13

 

8.250

 

704,375

 

250

 

Swift & Co., Global Company Guaranteed Notes (Callable 10/01/07 @ $102.53)

 

(B- , B3)

 

10/01/09

 

10.125

 

255,625

 

300

 

Swift & Co., Global Senior Subordinated Notes (Callable 10/01/07 @ 103.13)

 

(CCC+ , Caa1)

 

01/01/10

 

12.500

 

306,750

 

 

 

 

 

 

 

 

 

 

 

1,974,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (2.8%)

 

 

 

 

 

 

 

 

 

525

 

Boise Cascade LLC, Global Company Guaranteed Notes (Callable 10/15/09 @ $103.56)

 

(B+ , B2)

 

10/15/14

 

7.125

 

492,187

 

850

 

Cellu Tissue Holdings, Inc., Global Secured Notes (Callable 03/15/07 @ $107.31)

 

(B , B2)

 

03/15/10

 

9.750

 

839,375

 

475

 

Georgia-Pacific Corp., Debentures Notes

 

(B , B2)

 

06/15/15

 

7.700

 

475,000

 

775

 

Graphic Packaging International Corp., Senior Subordinated Notes (Callable 08/15/08 @ $104.75)§

 

(B- , B3)

 

08/15/13

 

9.500

 

796,312

 

375

 

Newark Group, Inc., Global Senior Subordinated Notes (Callable 03/15/09 @ $104.88)

 

(B- , Caa1)

 

03/15/14

 

9.750

 

365,625

 

450

 

NewPage Corp., Global Secured Notes (Callable 05/01/09 @ $106.00)

 

(CCC+ , B3)

 

05/01/12

 

10.000

 

466,875

 

550

 

NewPage Corp., Global Senior Subordinated Notes (Callable 05/01/09 @ $106.00)

 

(CCC+ , Caa1)

 

05/01/13

 

12.000

 

572,000

 

1,250

 

Stone Container Corp., Global Senior Notes (Callable 07/01/07 @ $104.19)

 

(CCC+ , B2)

 

07/01/12

 

8.375

 

1,206,250

 

575

 

Verso Paper Holdings LLC, Rule 144A, Senior Subordinated Notes (Callable 08/01/11 @ $105.69)‡

 

(B- , B3)

 

08/01/16

 

11.375

 

573,562

 

100

 

Verso Paper Holdings LLC, Rule 144A, Secured Notes (Callable 08/01/10 @ $104.56)‡

(B+ , B2)

 

08/01/14

 

9.125

 

101,125

 

 

 

 

 

 

 

 

 

 

 

5,888,311

 

 

 

 

 

 

 

 

 

 

 

 

 

Gaming (4.4%)

 

 

 

 

 

 

 

 

 

400

 

Aztar Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $103.94)

 

(B+ , Ba3)

 

06/15/14

 

7.875

 

433,000

 

1,000

 

CCM Merger, Inc., Rule 144A, Notes (Callable 08/01/09 @ $104.00)‡

 

(CCC+ , B3)

 

08/01/13

 

8.000

 

965,000

 

175

 

Circus & Eldorado, Global First Mortgage Notes (Callable 03/01/07 @ $105.06)

 

(B , B2)

 

03/01/12

 

10.125

 

184,844

 

740

 

Hard Rock Hotel, Inc., Global Notes (Callable 06/01/08 @ $104.44)

 

(B , B2)

 

06/01/13

 

8.875

 

803,825

 

300

 

Herbst Gaming, Inc., Global Senior Subordinated Notes (Callable 06/01/08 @ $104.06)

 

(B- , B3)

 

06/01/12

 

8.125

 

307,875

 

975

 

Inn of the Mountain Gods, Global Senior Notes (Callable 11/15/07 @ $106.00)

 

(B- , B3)

 

11/15/10

 

12.000

 

1,026,187

 

400

 

Isle of Capri Casinos, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $103.50)

 

(B , B1)

 

03/01/14

 

7.000

 

382,000

 

725

 

Jacobs Entertainment, Inc., Rule 144A, Senior Notes (Callable 06/15/10 @ $104.88)‡

 

(B- , B3)

 

06/15/14

 

9.750

 

721,375

 

475

 

Majestic Star Casino LLC, Company Guaranteed Notes (Callable 10/15/07 @ $104.75)

 

(B+ , B1)

 

10/15/10

 

9.500

 

488,062

 

500

 

Majestic Star Casino LLC, Global Senior Unsecured Notes (Callable 10/15/08 @ $104.88)

 

(CCC+ , Caa1)

 

01/15/11

 

9.750

 

489,375

 

375

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(BB , Ba2)

 

09/15/10

 

8.500

 

400,781

 

450

 

MGM Mirage, Inc., Company Guaranteed Notes

 

(B+ , B1)

 

02/01/11

 

8.375

 

471,397

 

200

 

Pokagon Gaming Authority, Rule 144A, Senior Notes (Callable 06/15/10 @ $105.19)‡

 

(B , B3)

 

06/15/14

 

10.375

 

214,250

 

600

 

Resorts International Hotel & Casino, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $106.00)

 

(B- , Caa1)

 

03/15/09

 

11.500

 

624,000

 

400

 

River Rock Entertainment Authority, Senior Notes (Callable 11/01/07 @ $104.88)

 

(B+ , B2)

 

11/01/11

 

9.750

 

427,000

 

100

 

Seneca Gaming Corp., Global Senior Notes (Callable 05/01/08 @ $103.63)

 

(BB- , B2)

 

05/01/12

 

7.250

 

100,500

 

 

500

 

Trump Entertainment Resorts, Inc., Secured Notes (Callable 06/01/10 @ $104.25)

 

(B- , Caa1)

 

06/01/15

 

8.500

 

480,625

 

 

189

 

Waterford Gaming LLC, Rule 144A, Senior Notes (Callable 09/15/08 @ $103.55)‡

 

(BB- , B1)

 

09/15/12

 

8.625

 

200,812

 

 

725

 

Wynn Las Vegas LLC, Global 1st Mortgage Notes (Callable 12/01/09 @ $103.31)

 

(BB- , B1)

 

12/01/14

 

6.625

 

706,875

 

 

 

 

 

 

 

 

 

 

 

 

9,427,783

 

 

 




 

Gas Distribution (1.7%)

 

 

 

 

 

 

 

 

 

500

 

El Paso Corp., Senior Notes

 

(B , B2)

 

05/15/11

 

7.000

 

505,625

 

250

 

El Paso Natural Gas, Series A, Global Senior Notes (Callable 08/01/07 @ $103.81)

 

(B+ , Ba1)

 

08/01/10

 

7.625

 

258,750

 

1,050

 

El Paso Performance -Linked Trust, Rule 144A, Notes‡

 

(B+ , B2)

 

07/15/11

 

7.750

 

1,084,125

 

525

 

Inergy LP/Inergy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/11 @ $104.13)

 

(B , B1)

 

03/01/16

 

8.250

 

546,000

 

1,175

 

Williams Companies, Inc., Global Senior Unsecured Notes

 

(BB- , Ba2)

 

03/15/12

 

8.125

 

1,260,188

 

 

 

 

 

 

 

 

 

 

 

3,654,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Services (4.1%)

 

 

 

 

 

 

 

 

 

800

 

CDRV Investors, Inc., Global Senior Discount Notes (Callable 01/01/10 @ $104.81)+

 

(B- , Caa2)

 

01/01/15

 

0.000

 

596,000

 

250

 

Concentra Operating Corp., Global Company Guaranteed Notes (Callable 08/15/07 @ $104.75)

 

(B- , B3)

 

08/15/10

 

9.500

 

261,250

 

500

 

Fisher Scientific International, Inc., Global Senior Subordinated Notes (Callable 08/15/09 @ $103.38)

 

(BB+ , Ba2)

 

08/15/14

 

6.750

 

511,250

 

350

 

HCA, Inc., Notes

 

(BB+ , Ba1)

 

10/01/12

 

6.300

 

297,063

 

800

 

Healthsouth Corp., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.38)‡

 

(CCC+ , Caa1)

 

06/15/16

 

10.750

 

821,000

 

650

 

Iasis Healthcare LLC/Capital Corp., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.38)

 

(B- , B3)

 

06/15/14

 

8.750

 

632,125

 

150

 

Medquest, Inc., Series B, Company Guaranteed Notes (Callable 08/15/07 @ $105.94)

 

(CCC , Caa1)

 

08/15/12

 

11.875

 

131,625

 

550

 

Stewart Enterprises, Inc., Global Senior Notes (Callable 02/15/09 @ $103.13)

 

(B+ , B1)

 

02/15/13

 

6.250

 

511,500

 

1,575

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

07/01/14

 

9.875

 

1,576,969

 

500

 

Tenet Healthcare Corp., Global Senior Notes

 

(CCC+ , Caa1)

 

02/01/15

 

9.250

 

483,750

 

1,050

 

Triad Hospitals, Inc., Senior Subordinated Notes (Callable 11/15/08 @ $103.50)

 

(B+ , B2)

 

11/15/13

 

7.000

 

1,025,063

 

800

 

Universal Hospital Services, Inc., Global Senior Notes (Callable 11/01/07 @ $105.06)

 

(B- , B3)

 

11/01/11

 

10.125

 

844,000

 

950

 

Vanguard Health Holding Co., Global Senior Subordinated Notes (Callable 10/01/09 @ $104.50)

 

(CCC+ , Caa1)

 

10/01/14

 

9.000

 

926,250

 

100

 

VWR International, Inc., Global Senior Subordinated Notes (Callable 04/15/09 @ $104.00)

 

(B- , Caa1)

 

04/15/14

 

8.000

 

101,375

 

 

 

 

 

 

 

 

 

 

 

8,719,220

 

 

 

 

 

 

 

 

 

 

 

 

 

Hotels (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Bluegreen Corp., Series B, Company Guaranteed Notes

 

(B- , B3)

 

04/01/08

 

10.500

 

498,125

 

425

 

Felcor Lodging LP, Global Company Guaranteed Notes

 

(B , Ba3)

 

06/01/11

 

8.500

 

452,094

 

825

 

Host Marriott LP, Global Company Guaranteed (Callable 06/01/11 @ $103.33)

 

(BB , Ba2)

 

06/01/16

 

6.750

 

817,781

 

200

 

Host Marriott LP, Global Senior Notes (Callable 11/01/08 @ $103.56)

 

(BB , Ba2)

 

11/01/13

 

7.125

 

203,500

 

 

 

 

 

 

 

 

 

 

 

1,971,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Household & Leisure Products (1.3%)

 

 

 

 

 

 

 

 

 

650

 

ALH Finance LLC, Senior Subordinated Notes (Callable 01/15/09 @ $104.25)§

 

(CCC+ , B3)

 

01/15/13

 

8.500

 

638,625

 

400

 

Ames True Temper, Inc., Global Company Guaranteed Notes (Callable 01/15/07 @ $103.00)#

(CCC+ , Caa1)

 

01/15/12

 

7.141

 

404,000

 

600

 

Ames True Temper, Inc., Global Senior Subordinated Notes (Callable 07/15/08 @ $105.00)§

 

(CCC- , Caa1)

 

07/15/12

 

10.000

 

517,500

 

600

 

Sealy Mattress Co., Global Senior Subordinated Notes (Callable 06/15/09 @ $104.13)

 

(B- , B2)

 

06/15/14

 

8.250

 

615,000

 

525

 

Simmons Bedding Co., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.94)§

 

(B- , B3)

 

01/15/14

 

7.875

 

511,875

 

 

 

 

 

 

 

 

 

 

 

2,687,000

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.7%)

 

 

 

 

 

 

 

 

 

350

 

Bally Total Fitness Holding Corp., Global Senior Notes (Callable 07/15/07 @ $105.25)

 

(CCC- , Caa1)

 

07/15/11

 

10.500

 

340,375

 

550

 

Six Flags, Inc., Global Senior Notes (Callable 04/15/08 @ $104.88)§

 

(CCC , Caa1)

 

04/15/13

 

9.750

 

497,750

 

700

 

Six Flags, Inc., Global Senior Notes (Callable 06/01/09 @ $104.81)§

 

(CCC , Caa1)

 

06/01/14

 

9.625

 

626,500

 

 

 

 

 

 

 

 

 

 

 

1,464,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Machinery (0.2%)

 

 

 

 

 

 

 

 

 

450

 

Case New Holland, Inc., Global Company Guaranteed Notes (Callable 08/01/07 @ $104.62)

 

(BB- , Ba3)

 

08/01/11

 

9.250

 

479,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Broadcast (1.8%)

 

 

 

 

 

 

 

 

 

600

 

Allbritton Communication Co., Global Senior Subordinated Notes (Callable 12/15/07 @ $103.88)

 

(B- , B1)

 

12/15/12

 

7.750

 

607,500

 

300

 

Fisher Communications, Inc., Global Senior Notes (Callable 09/15/09 @ $104.31)

 

(B- , B2)

 

09/15/14

 

8.625

 

312,750

 

350

 

Gray Television, Inc., Global Company Guaranteed Notes (Callable 12/15/06 @ $104.62)

 

(B- , B1)

 

12/15/11

 

9.250

 

367,938

 

675

 

Nexstar Finance, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $103.50)

 

(CCC+ , B3)

 

01/15/14

 

7.000

 

617,625

 

800

 

Paxson Communications Corp., Rule 144A, Secured Notes (Callable 01/15/08 @ $102.00)‡#

 

(CCC- , Caa2)

 

01/15/13

 

10.777

 

810,000

 

750

 

Sirius Satellite Radio, Inc., Global Senior Unsecured Notes (Callable 09/01/09 @ $104.81)§

(CCC , Caa1)

 

08/01/13

 

9.625

 

736,875

 

400

 

Xm Satellite Radio, Inc., Rule 144A, Senior Notes (Callable 05/01/08 @ $102.00)‡

 

(CCC , Caa1)

 

05/01/13

 

9.649

 

382,000

 

 

 

 

 

 

 

 

 

 

 

3,834,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (5.7%)

 

 

 

 

 

 

 

 

 

750

 

Atlantic Broadband Finance LLC, Global Company Guaranteed Notes (Callable 01/15/09 @ $104.69)‡

 

(CCC+ , Caa1)

 

01/15/14

 

9.375

 

736,875

 

650

 

CCH I Holdings LLC, Global Company Guaranteed Notes (Callable 09/30/07 @ $103.92)+

(CCC- , Caa3)

 

05/15/14

 

11.750

 

466,375

 

967

 

CCH I LLC, Global Secured Notes (Callable 10/01/10 @ $105.50)

 

(CCC- , Caa2)

 

10/01/15

 

11.000

 

884,805

 

1,150

 

CCO Holdings LLC, Global Senior Notes (Callable 11/15/08 @ $104.38)

 

(CCC- , NR)

 

11/15/13

 

8.750

 

1,162,938

 

750

 

Charter Communications Holdings LLC, Senior Discount Notes (Callable 04/01/07 @ $100.00)+

 

(CCC- , Caa3)

 

04/01/11

 

9.920

 

585,000

 

1,700

 

Charter Communications Holdings LLC, Senior Notes (Callable 09/15/08 @ $105.13)

 

(CCC- , Caa1)

 

09/15/10

 

10.250

 

1,742,500

 

1,200

 

CSC Holdings, Inc., Global Senior Notes

 

(B+ , NR)

 

04/15/12

 

7.250

 

1,201,500

 

980

 

CSC Holdings, Inc., Series B, Senior Notes

 

(B+ , B2)

 

04/01/11

 

7.625

 

1,010,625

 

100

 

DirecTV Holdings LLC, Global Company Guaranteed Notes (Callable 06/15/10 @ $103.19)

 

(BB- , Ba3)

 

06/15/15

 

6.375

 

94,500

 




 

3,223

 

DIVA Systems Corp., Series B, Senior Discount Notes (Callable 11/17/06 @ $100.00)^Ø

 

(NR , NR)

 

03/01/08

 

12.625

 

32,230

 

750

 

EchoStar DBS Corp., Global Company Guaranteed Notes

 

(BB- , Ba3)

 

10/01/14

 

6.625

 

715,313

 

525

 

GCI, Inc., Global Senior Notes (Callable 02/15/09 @ $103.63)

 

(B+ , B1)

 

02/15/14

 

7.250

 

509,250

 

250

 

Insight Communications Company, Inc., Senior Discount Notes (Callable 02/15/07 @ $104.08)+

 

(CCC+ , B3)

 

02/15/11

 

0.000

 

265,625

 

500

 

Insight Midwest/Insight Capital Corp., Global Senior Notes (Callable 11/01/06 @ $103.50)

 

(B , B2)

 

11/01/10

 

10.500

 

520,000

 

500

 

Insight Midwest/Insight Capital Corp., Senior Notes (Callable 10/01/07 @ $100.00)

 

(B , B3)

 

10/01/09

 

9.750

 

510,000

 

1,150

 

Mediacom Broadband LLC/CRP, Global Senior Notes (Callable 10/15/10 @ $104.25)

 

(B , B3)

 

10/15/15

 

8.500

 

1,148,563

 

525

 

Mediacom LLC/Capital Corp., Senior Notes (Callable 02/15/07 @ $101.97)

 

(B , B3)

 

02/15/11

 

7.875

 

521,063

 

 

 

 

 

 

 

 

 

 

 

12,107,162

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Services (0.6%)

 

 

 

 

 

 

 

 

 

475

 

WMG Holdings Corp., Global Senior Discount Notes (Callable 12/15/09 @ $104.75)+

 

(B- , B2)

 

12/15/14

 

0.000

 

356,250

 

1,025

 

Young Broadcasting, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.38)

 

(CCC- , Caa1)

 

01/15/14

 

8.750

 

876,375

 

 

 

 

 

 

 

 

 

 

 

1,232,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (1.0%)

 

 

 

 

 

 

 

 

 

500

 

Alpha Natural Resources LLC, Global Company Guaranteed Notes (Callable 06/01/08 @ $105.00)

 

(B- , B3)

 

06/01/12

 

10.000

 

540,000

 

500

 

American Rock Salt Company LLC, Global Secured Notes (Callable 03/15/09 @ $104.75)

 

(B- , Caa1)

 

03/15/14

 

9.500

 

518,750

 

360

 

PNA Group, Inc., Rule 144A, Senior Notes (Callable 09/01/11 @ $105.38)‡

 

(B- , B3)

 

09/01/16

 

10.750

 

371,700

 

675

 

Southern Copper Corp., Global Senior Notes

 

(BBB- , Baa2)

 

07/27/35

 

7.500

 

709,839

 

 

 

 

 

 

 

 

 

 

 

2,140,289

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Food & Drug Retailers (4.3%)

 

 

 

 

 

 

 

 

 

811

 

Affinity Group Holding, Global Senior Subordinated Notes (Callable 02/15/08 @ $105.44)»

 

(CCC+ , B3)

 

02/15/12

 

10.875

 

774,829

 

250

 

Affinity Group, Inc., Global Senior Subordinated Notes (Callable 02/15/08 @ $104.50)

 

(CCC+ , B2)

 

02/15/12

 

9.000

 

251,250

 

675

 

Asbury Automotive Group, Inc., Global Company Guaranteed Notes (Callable 06/15/07 @ $104.50)

 

(B , B3)

 

06/15/12

 

9.000

 

694,406

 

750

 

Brookstone Company, Inc., Global Secured Notes (Callable 10/15/09 @ $106.00)

 

(B , Caa1)

 

10/15/12

 

12.000

 

686,250

 

800

 

Finlay Fine Jewelry Corp., Global Senior Notes (Callable 06/01/08 @ $104.19)

 

(B- , B3)

 

06/01/12

 

8.375

 

720,000

 

703

 

Flooring America, Inc., Series B, Company Guaranteed Notes (Callable 12/13/06 @ $100.00)^Ø

 

(NR , NR)

 

10/15/07

 

9.250

 

0

 

225

 

General Nutrition Center, Global Company Guaranteed Notes (Callable 01/15/08 @ $104.31)

 

(B- , B1)

 

01/15/11

 

8.625

 

231,188

 

625

 

General Nutrition Center, Global Senior Subordinated Notes (Callable 12/01/07 @ $104.25)

 

(B- , B3)

 

12/01/10

 

8.500

 

609,375

 

675

 

GSC Holdings Corp., Global Company Guaranteed Notes (Callable 10/01/09 @ $104.00)§

(CCC+ , Caa1)

 

10/01/12

 

8.000

 

698,625

 

500

 

Intcomex, Inc., Rule 144A, Secured Notes (Callable 01/15/07 @ $106.00)‡

 

(B- , B3)

 

01/15/11

 

11.750

 

495,000

 

500

 

Nebraska Book Company, Inc., Global Senior Subordinated Notes (Callable 03/15/08 @ $104.31)

 

(CCC , B3)

 

03/15/12

 

8.625

 

471,250

 

1,000

 

Neiman-Marcus Group, Inc., Global Company Guaranteed Notes (Callable 10/15/10 @ $105.19)§

(B- , B3)

 

10/15/15

 

10.375

 

1,085,000

 

650

 

PCA LLC, Global Senior NotesØ

 

(NR , NR)

 

08/01/09

 

11.875

 

136,500

 

800

 

Rent-Way, Inc., Global Secured Notes

 

(NR , B3)

 

06/15/10

 

11.875

 

932,000

 

400

 

SGS International, Inc., Global Senior Subordinated Notes (Callable 12/15/09 @ $106.00)

 

(B- , B3)

 

12/15/13

 

12.000

 

406,000

 

700

 

Stripes Acquisition LLC, Rule 144A, Senior Notes (Callable 12/15/09 @ $105.31)‡

 

(B , B2)

 

12/15/13

 

10.625

 

749,000

 

250

 

United Auto Group, Inc., Global Company Guaranteed Notes (Callable 03/15/07 @ $104.81)

 

(B , B3)

 

03/15/12

 

9.625

 

266,250

 

 

 

 

 

 

 

 

 

 

 

9,206,923

 

 

 

 

 

 

 

 

 

 

 

 

 

Office Equipment (0.5%)

 

 

 

 

 

 

 

 

 

950

 

Xerox Corp., Senior Notes (Callable 06/15/08 @ $103.81)

 

(BB+ , Ba1)

 

06/15/13

 

7.625

 

1,002,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Oil Refining & Marketing (0.2%)

 

 

 

 

 

 

 

 

 

200

 

Giant Industries, Inc., Company Guaranteed Notes (Callable 05/15/09 @ $104.00)

 

(B- , B2)

 

05/15/14

 

8.000

 

217,500

 

162

 

Giant Industries, Inc., Global Company Guaranteed Notes (Callable 05/15/07 @ $105.50)

 

(B- , B2)

 

05/15/12

 

11.000

 

175,770

 

 

 

 

 

 

 

 

 

 

 

393,270

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (3.3%)

 

 

 

 

 

 

 

 

 

600

 

Amtrol, Inc., Senior Subordinated Notes

 

(NR , NR)

 

12/31/06

 

10.625

 

570,000

 

490

 

Berry Plastics Holding Corp., Rule 144A, Secured Notes (Callable 09/15/10 @ $104.44)‡

 

(CCC+ , B2)

 

09/15/14

 

8.875

 

494,900

 

1,025

 

Constar International, Inc., Senior Subordinated Notes (Callable 12/01/07 @ $105.50)§

 

(CCC , Caa2)

 

12/01/12

 

11.000

 

896,875

 

650

 

Covalence Specialty Materials Corp., Rule 144A, Senior Subordinated Notes (Callable 03/01/11 @ $105.13)‡

 

(CCC+ , B3)

 

03/01/16

 

10.250

 

633,750

 

410

 

Crown Americas, Global Senior Notes (Callable 11/15/10 @ $103.88)

 

(B , B1)

 

11/15/15

 

7.750

 

417,175

 

25

 

Graham Packaging Company, Inc., Global Company Guaranteed Notes (Callable 10/15/08 @ $104.25)

 

(CCC+ , Caa1)

 

10/15/12

 

8.500

 

24,875

 

775

 

Graham Packaging Company, Inc., Global Subordinated Notes (Callable 10/15/09 @ $104.94)§

 

(CCC+ , Caa1)

 

10/15/14

 

9.875

 

765,313

 

425

 

Intertape Polymer U.S., Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25)

 

(B- , B3)

 

08/01/14

 

8.500

 

401,625

 

680

 

Owens-Brockway Glass, Global Company Guaranteed Notes (Callable 05/15/08 @ $104.13)

 

(B , B3)

 

05/15/13

 

8.250

 

700,400

 

500

 

Plastipak Holdings, Inc., Rule 144A, Senior Notes (Callable 12/15/10 @ $104.25)‡

 

(B , B3)

 

12/15/15

 

8.500

 

507,500

 

500

 

Pliant Corp., Global Secured Notes (Callable 06/01/08 @ $102.78)

 

(CCC , NR)

 

09/01/09

 

11.125

 

491,250

 

1,175

 

Solo Cup Co., Global Senior Subordinated Notes (Callable 02/15/09 @ $104.25)

 

(B- , Caa2)

 

02/15/14

 

8.500

 

1,020,781

 

 

 

 

 

 

 

 

 

 

 

6,924,444

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

650

 

Athena Neurosciences Finance LLC, Company Guaranteed Notes

 

(B , B3)

 

02/21/08

 

7.250

 

650,813

 

 

 

 

 

 

 

 

 

 

 

 

 

Printing & Publishing (4.2%)

 

 

 

 

 

 

 

 

 

775

 

American Media Operations, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/07 @ $100.00)

 

(CCC- , Caa2)

 

05/01/09

 

10.250

 

724,625

 

975

 

CBD Media Holdings/Finance, Global Senior Notes (Callable 07/15/08 @ $104.63)

 

(CCC+ , Caa1)

 

07/15/12

 

9.250

 

965,250

 

625

 

Cenveo Corp., Global Senior Subordinated Notes (Callable 12/01/08 @ $103.94)

 

(B , B3)

 

12/01/13

 

7.875

 

595,313

 

500

 

Dex Media, Inc., Global Discount Notes (Callable 11/15/08 @ $104.50)+

 

(B , B3)

 

11/15/13

 

0.000

 

423,750

 

600

 

Dex Media, Inc., Global Notes (Callable 11/15/08 @ $104.00)

 

(B , B3)

 

11/15/13

 

8.000

 

598,500

 

750

 

Haights Cross Operating Co., Global Company Guaranteed Notes (Callable 08/15/08 @ $105.88)

 

(CCC , Caa2)

 

08/15/11

 

11.750

 

772,500

 




 

725

 

Houghton Mifflin Co., Global Senior Discount Notes (Callable 10/15/08 @ $105.75)+

 

(CCC+ , Caa1)

 

10/15/13

 

0.000

 

636,188

 

575

 

Houghton Mifflin Co., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.94)

 

(CCC+ , B3)

 

02/01/13

 

9.875

 

610,938

 

2,000

 

Premier Graphics, Inc., Company Guaranteed Notes^Ø

 

(NR , NR)

 

12/01/05

 

11.500

 

0

 

1,950

 

RH Donnelley Corp., Series A-2, Global Senior Discount Notes (Callable 01/15/09 @ $103.44)

 

(B , B3)

 

01/15/13

 

6.875

 

1,789,125

 

150

 

RH Donnelley Corp., Series A-3, Global Senior Notes (Callable 01/15/11 @ $104.44)

 

(B , B3)

 

01/15/16

 

8.875

 

151,125

 

725

 

Vertis, Inc., Series B, Global Company Guaranteed Notes (Callable 06/15/07 @ $102.72)§

(CCC , Caa1)

 

06/15/09

 

10.875

 

732,250

 

1,025

 

WDAC Subsidiary Corp., Rule 144A, Senior Notes (Callable 12/01/09 @ $104.19)‡

 

(CCC+ , Caa1)

 

12/01/14

 

8.375

 

1,035,250

 

 

 

 

 

 

 

 

 

 

 

9,034,814

 

Restaurants (1.8%)

 

 

 

 

 

 

 

 

 

675

 

Buffets, Inc., Global Senior Subordinated Notes (Callable 07/15/07 @ $103.75)

 

(CCC , B3)

 

07/15/10

 

11.250

 

717,188

 

750

 

Denny’s Corp., Global Company Guaranteed Notes (Callable 10/01/08 @ $105.00)§

 

(CCC+ , Caa1)

 

10/01/12

 

10.000

 

780,000

 

600

 

Friendly Ice Cream Corp., Global Senior Notes (Callable 06/15/08 @ $104.19)

 

(CCC+ , Caa1)

 

06/15/12

 

8.375

 

547,500

 

400

 

O’Charley’s, Inc., Global Senior Subordinated Notes (Callable 11/01/08 @ $104.50)

 

(B , B1)

 

11/01/13

 

9.000

 

418,000

 

850

 

Sbarro, Inc., Company Guaranteed Notes (Callable 11/17/06 @ $101.83)

 

(CCC+ , Caa1)

 

09/15/09

 

11.000

 

869,125

 

700

 

Uno Restaurant Corp., Rule 144A, Senior Notes (Callable 02/15/08 @ $110.00)‡

 

(CCC , Caa1)

 

02/15/11

 

10.000

 

588,000

 

 

 

 

 

 

 

 

 

 

 

3,919,813

 

Software/Services (0.9%)

 

 

 

 

 

 

 

 

 

500

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.56)

 

(B- , Caa1)

 

08/15/13

 

9.125

 

520,000

 

1,300

 

SunGard Data Systems, Inc., Global Company Guaranteed Notes (Callable 08/15/10 @ $105.13)

 

(B- , Caa1)

 

08/15/15

 

10.250

 

1,345,500

 

 

 

 

 

 

 

 

 

 

 

1,865,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Steel Producers/Products (1.4%)

 

 

 

 

 

 

 

 

 

250

 

AK Steel Corp., Company Guaranteed Notes (Callable 02/15/07 @ $100.00)

 

(B+ , B1)

 

02/15/09

 

7.875

 

250,313

 

575

 

AK Steel Corp., Global Company Guaranteed Notes (Callable 06/15/07 @ $103.88)

 

(B+ , B1)

 

06/15/12

 

7.750

 

562,781

 

775

 

Egden Acquisition Corp., Global Secured Notes (Callable 02/01/08 @ $104.94)

 

(B- , B3)

 

02/01/11

 

9.875

 

771,125

 

525

 

International Steel Group, Inc., Global Senior Notes

 

(BBB- , Ba1)

 

04/15/14

 

6.500

 

521,063

 

775

 

RathGibson, Inc., Rule 144A, Senior Notes (Callable 02/15/10 @ $105.62)‡

 

(B- , B3)

 

02/15/14

 

11.250

 

802,125

 

0

 

WCI Steel Acquisition, Inc., Senior Notes ++

 

(NR , NR)

 

05/01/16

 

8.000

 

323

 

250

 

WCI Steel EscrowØ

 

(NR , NR)

 

12/01/04

 

10.000

 

8,375

 

 

 

 

 

 

 

 

 

 

 

2,916,105

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (4.3%)

 

 

 

 

 

 

 

 

 

400

 

Allied Security Escrow, Global Senior Subordinated Notes (Callable 07/15/08 @ $105.69)

 

(CCC+ , Caa1)

 

07/15/11

 

11.375

 

402,000

 

200

 

Ashtead Capital, Inc., Rule 144A, Notes (Callable 08/15/11 @ $104.50)‡

 

(B , NR)

 

08/15/16

 

9.000

 

209,000

 

600

 

Brand Services, Inc., Global Company Guaranteed (Callable 10/15/07 @ $106.00)

 

(CCC+ , Caa1)

 

10/15/12

 

12.000

 

675,168

 

684

 

Di Finance/Dyncorp International, Global Senior Subordinated Notes (Callable 02/15/09 @ $104.75)

 

(B , B3)

 

02/15/13

 

9.500

 

711,360

 

100

 

Education Management LLC, Rule 144A, Senior Notes (Callable 06/01/10 @ $104.30)‡

 

(CCC+ , B2)

 

06/01/14

 

8.750

 

101,500

 

500

 

Education Management LLC, Rule 144A, Senior Subordinated Notes (Callable 06/01/11 @ $105.13)‡

 

(CCC+ , Caa1)

 

06/01/16

 

10.250

 

513,750

 

300

 

Hertz Corp., Rule 144A, Senior Notes (Callable 01/01/10 @ $104.44)‡

 

(B , B1)

 

01/01/14

 

8.875

 

315,750

 

400

 

Hertz Corp., Rule 144A, Senior Subordinated Notes (Callable 01/01/11 @ $105.25)‡

 

(B , B3)

 

01/01/16

 

10.500

 

442,000

 

800

 

HydroChem Industrial Services, Inc., Rule 144A, Senior Subordinated Notes (Callable 02/15/09 @ $104.63)‡

 

(CCC+ , B3)

 

02/15/13

 

9.250

 

796,000

 

350

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 04/01/07 @ $102.88)

 

(B , B3)

 

04/01/13

 

8.625

 

359,625

 

300

 

Iron Mountain, Inc., Company Guaranteed Notes (Callable 07/01/08 @ $103.31)

 

(B , B3)

 

01/01/16

 

6.625

 

283,500

 

1,100

 

Johnsondiversey Holdings, Inc., Global Discount Notes (Callable 05/15/07 @ $105.34)+

 

(CCC+ , Caa1)

 

05/15/13

 

0.000

 

957,000

 

250

 

Language Line, Inc., Global Senior Subordinated Notes (Callable 06/15/08 @ $105.56)

 

(CCC+ , B3)

 

06/15/12

 

11.125

 

244,375

 

125

 

Mobile Services Group, Inc., Rule 144A, Senior Notes (Callable 08/01/10 @ $104.88)‡

 

(B- , B3)

 

08/01/14

 

9.750

 

128,750

 

300

 

Muzak LLC/Muzak Finance, Global Senior Notes (Callable 02/15/07 @ $102.50)

 

(CCC- , Caa1)

 

02/15/09

 

10.000

 

266,625

 

50

 

TDS Investor Corp., Rule 144A, Senior Notes (Callable 09/01/10 @ $104.94)‡

 

(B- , Caa1)

 

09/01/14

 

9.875

 

48,500

 

1,175

 

TDS Investor Corp., Rule 144A, Senior Subordinated Notes (Callable 09/01/11 @ $105.94)‡

 

(B- , Caa1)

 

09/01/16

 

11.875

 

1,133,875

 

425

 

United Rentals North America, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.25)

 

(B+ , B1)

 

02/15/12

 

6.500

 

412,250

 

675

 

United Rentals North America, Inc., Global Senior Subordinated Notes (Callable 02/15/09 @ $103.50)§

 

(B , B3)

 

02/15/14

 

7.000

 

637,875

 

525

 

Williams Scotsman, Inc., Global Company Guaranteed Notes (Callable 10/01/10 @ $104.25)

 

(B+ , B3)

 

10/01/15

 

8.500

 

539,438

 

 

 

 

 

 

 

 

 

 

 

9,178,341

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Fixed Line (1.3%)

 

 

 

 

 

 

 

 

 

1,300

 

Level 3 Communications, Inc., Convertible Notes §

(CCC- , Caa3)

 

03/15/10

 

6.000

 

1,148,875

 

525

 

Level 3 Communications, Inc., Global Senior Notes (Callable 03/01/09 @ $100.00)§

 

(CCC- , CCC-)

 

03/01/10

 

11.500

 

542,063

 

500

 

Time Warner Telecom Holdings, Inc., Global Company Guaranteed Notes (Callable 02/15/09 @ $104.62)

 

(CCC+ , B3)

 

02/15/14

 

9.250

 

528,750

 

225

 

Windstream Corp., Rule 144A, Senior Notes‡

 

(BB- , Ba3)

 

08/01/13

 

8.125

 

239,906

 

225

 

Windstream Corp., Rule 144A, Senior Notes (Callable 08/01/11 @ $104.31)‡

 

(BB- , Ba3)

 

08/01/16

 

8.625

 

241,875

 

 

 

 

 

 

 

 

 

 

 

2,701,469

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.1%)

 

 

 

 

 

 

 

 

 

925

 

Cincinnati Bell, Inc., Global Senior Subordinated Notes (Callable 01/15/09 @ $104.19)

 

(B- , B3)

 

01/15/14

 

8.375

 

938,875

 

800

 

Hawaiian Telecom Communications, Inc., Series B, Global Company Guaranteed Notes (Callable 05/01/10 @ $106.25)§

 

(CCC+ , B3)

 

05/01/15

 

12.500

 

844,000

 

525

 

Hughes Network Systems LLC/HNS Finance Corp., Rule 144A, Senior Notes (Callable 04/15/10 @ $104.25)‡

 

(B- , B1)

 

04/15/14

 

9.500

 

543,375

 

545

 

PanAmSat Corp., Global Company Guaranteed Notes (Callable 08/15/09 @ $104.50)

 

(B , B2)

 

08/15/14

 

9.000

 

565,438

 

1,025

 

Qwest Communications International, Inc., Global Company Guaranteed Notes (Callable 02/15/08 @ $103.63)

 

(B , B2)

 

02/15/11

 

7.250

 

1,030,125

 

300

 

Qwest Communications International, Inc., Series B, Global Company Guaranteed Notes (Callable 02/15/09 @ $103.75)

 

(B , B2)

 

02/15/14

 

7.500

 

302,250

 

120

 

Qwest Corp., Global Senior Notes

 

(BB , Ba2)

 

06/15/15

 

7.625

 

125,100

 

75

 

Qwest Corp., Rule 144A, Senior Notes‡

 

(BB , NR)

 

10/01/14

 

7.500

 

77,813

 

 

 

 

 

 

 

 

 

 

 

4,426,976

 

 




 

Telecom - Wireless (2.5%)

 

 

 

 

 

 

 

 

 

525

 

American Tower Corp., Global Senior Notes (Callable 10/15/08 @ $103.56)

 

(BB- , Ba3)

 

10/15/12

 

7.125

 

538,125

 

450

 

Centennial Cellular Communications Corp., Global Company Guaranteed Notes (Callable 06/15/08 @ $105.06)

 

(CCC , B2)

 

06/15/13

 

10.125

 

480,375

 

625

 

Centennial Communications Corp., Global Senior Notes (Callable 01/01/09 @ $107.50)

 

(CCC , Caa1)

 

01/01/13

 

10.000

 

635,938

 

455

 

Dobson Cellular Systems, Inc., Global Secured Notes (Callable 11/1/08 @ $104.94)

 

(CCC , B1)

 

11/01/12

 

9.875

 

490,263

 

700

 

Dobson Communications Corp., Global Senior Notes (Callable 10/01/08 @ $104.44)§

 

(CCC , Caa2)

 

10/01/13

 

8.875

 

697,375

 

350

 

Horizon PCS, Inc., Global Company Guaranteed Notes (Callable 07/15/08 @ $105.69)

 

(B- , NR)

 

07/15/12

 

11.375

 

394,625

 

250

 

iPCS, Inc., Global Senior Notes (Callable 05/01/08 @ $105.75)

 

(B- , B3)

 

05/01/12

 

11.500

 

281,250

 

100

 

Rural Cellular Corp., Global Senior Notes (Callable 08/01/07 @ $104.94)

 

(CCC , B3)

 

02/01/10

 

9.875

 

104,750

 

375

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 05/01/07 @ $103.25)§

 

(CCC , Caa2)

 

01/15/10

 

9.750

 

379,219

 

525

 

Rural Cellular Corp., Global Senior Subordinated Notes (Callable 11/01/07 @ $102.00)#

 

(CCC , Caa2)

 

11/01/12

 

10.899

 

544,031

 

775

 

Triton PCS, Inc., Global Company Guaranteed Notes (Callable 06/01/08 @ $104.25)§

 

(CCC- , Caa2)

 

06/01/13

 

8.500

 

722,688

 

 

 

 

 

 

 

 

 

 

 

5,268,639

 

 

 

 

 

 

 

 

 

 

 

 

 

Textiles & Apparel (1.1%)

 

 

 

 

 

 

 

 

 

675

 

Levi Strauss & Co., Global Senior Notes (Callable 01/15/10 @ $104.88)

 

(B- , B3)

 

01/15/15

 

9.750

 

703,687

 

735

 

Levi Strauss & Co., Global Senior Notes (Callable 12/15/07 @ $106.13)

 

(B- , B3)

 

12/15/12

 

12.250

 

823,200

 

400

 

Phillips Van-Heusen Corp., Global Senior Notes (Callable 02/15/08 @ $103.63)

 

(BB , B1)

 

02/15/11

 

7.250

 

406,000

 

500

 

Propex Fabrics, Inc., Global Company Guaranteed Notes (Callable 12/01/08 @ $105.00)

 

(B- , Caa1)

 

12/01/12

 

10.000

 

456,250

 

 

 

 

 

 

 

 

 

 

 

2,389,137

 

 

 

 

 

 

 

 

 

 

 

 

 

Theaters & Entertainment (0.7%)

 

 

 

 

 

 

 

 

 

400

 

AMC Entertainment, Inc., Global Senior Subordinated Notes (Callable 03/01/09 @ $104.00)

 

(CCC+ , B3)

 

03/01/14

 

8.000

 

378,000

 

650

 

AMC Entertainment, Inc., Senior Subordinated Notes (Callable 02/01/07 @ $104.94)

 

(CCC+ , B3)

 

02/01/12

 

9.875

 

671,125

 

200

 

Cinemark USA, Inc., Global Senior Subordinated Notes (Callable 02/01/08 @ $104.50)

 

(B- , B2)

 

02/01/13

 

9.000

 

208,500

 

400

 

Cinemark, Inc., Global Senior Discount Notes (Callable 03/15/09 @ $104.88)+

 

(B- , B3)

 

03/15/14

 

0.000

 

321,000

 

 

 

 

 

 

 

 

 

 

 

1,578,625

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (0.1%)

 

 

 

 

 

 

 

 

 

195

 

H-Line Finance Holding Corp., Global Senior Discount Notes (Callable 04/01/08 @ $105.50)+

(CCC+ , Caa1)

 

04/01/13

 

0.000

 

172,575

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL CORPORATE OBLIGATIONS
(Cost $185,765,474)

 

 

 

 

 

 

 

182,432,832

 

 

Number

 

 

 

 

 

of Shares

 

 

 

 

 

COMMON STOCKS (0.6%)

 

 

 

 

 

 

 

 

 

Automobile Parts & Equipment (0.0%)

 

 

 

18,064

 

Safelite Glass Corp., Class B^*

 

15,354

 

1,219

 

Safelite Realty Corp.^*

 

9,752

 

 

 

 

 

25,106

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

4,893

 

Huntsman Corp.*

 

89,053

 

 

 

 

 

 

 

Consumer - Products (0.0%)

 

 

 

20,689

 

Continental AFA Dispensing Co.^*

 

0

 

 

 

 

 

 

 

Electric - Integrated (0.2%)

 

 

 

18,795

 

Mirant Corp.*

 

513,291

 

 

 

 

 

 

 

Food - Wholesale (0.3%)

 

 

 

590

 

Crunch Equity Holdings LLC, Class A*

 

560,885

 

 

 

 

 

 

 

Printing & Publishing (0.1%)

 

 

 

206

 

Cenveo, Inc.*

 

3,877

 

10,652

 

Cenveo, Inc., Rule 144A‡*

 

200,471

 

 

 

 

 

204,348

 

 

 

 

 

 

 

Steel Producers /Products (0.0%)

 

 

 

2,735

 

WCI Steel Acquisition, Inc.*

 

77,948

 

 

 

 

 

 

 

TOTAL COMMON STOCKS
(Cost $1,755,554)

 

1,470,631

 

 

 

 

 

PREFERRED STOCKS (0.0%)

 

 

 

 

 

 

 

Media - Cable (0.0%)

 

 

 

7,500

 

Adelphia Communications Corp., 13% cumulative exchangeable Series B (Callable 07/15/07 @ $101.08)*
(Cost $750,000)

 

2,250

 




 

 

 

 

 

Value

 

WARRANTS (0.0%)

 

 

 

 

 

 

 

 

 

Aerospace & Defense (0.0%)

 

 

 

6,290

 

Loral Space & Communications, strike price $23.70, expires 12/27/06^*

 

0

 

 

 

 

 

 

 

Building Materials (0.0%)

 

 

 

1,250

 

Dayton Superior Corp., strike price $0.01, Rule 144A, expires 06/15/09‡^*

 

13

 

 

 

 

 

 

 

Chemicals (0.0%)

 

 

 

117

 

AGY Holding Corp., strike price $0.01, expires 01/01/10^*

 

1

 

 

 

 

 

 

 

Gaming (0.0%)

 

 

 

3,000

 

Mikohn Gaming Corp., strike price $7.70, expires 08/15/08^*

 

30

 

 

 

 

 

 

 

Telecom-Fixed Line (0.0%)

 

 

 

4

 

NTL, Inc., strike price $262.93, Series A, expires 01/13/11*

 

1

 

 

 

 

 

 

 

Packaging (0.0%)

 

 

 

747

 

Pliant Corp., strike price $0.01, expires 06/01/10^*

 

0

 

 

 

 

 

 

 

TOTAL WARRANTS
(Cost $47,788)

 

45

 

 

 

 

 

 

 

TOTAL DOMESTIC SECURITIES
(Cost $188,318,816)

 

183,905,758

 

 

Par

 

 

 

Ratings†

 

 

 

 

 

 

 

(000)

 

 

 

(S&P/Moody’s)

 

Maturity

 

Rate%

 

Value

 

FOREIGN SECURITIES (10.1%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CORPORATE OBLIGATIONS (10.1%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Building Materials (0.3%)

 

 

 

 

 

 

 

 

 

750

 

MAAX Corp., Global Senior Subordinated Notes (Callable 06/15/08 @ $104.88) (Canada)

 

(CCC- , B3)

 

06/15/12

 

9.750

 

596,250

 

 

 

 

 

 

 

 

 

 

 

 

 

Chemicals (1.1%)

 

 

 

 

 

 

 

 

 

700

 

Basell AF SCA, Rule 144A, Company Guaranteed Notes (Callable 08/15/10 @ $104.19) (Luxembourg)‡

 

(B- , B2)

 

08/15/15

 

8.375

 

698,250

 

975

 

Ineos Group Holding PLC., Rule 144A, Notes (Callable 02/15/11 @ $104.25) (United Kingdom)‡

 

(B- , B2)

 

02/15/16

 

8.500

 

933,562

 

373

 

Rhodia SA, Global Senior Notes (France)

 

(B- , B2)

 

06/01/10

 

10.250

 

419,625

 

300

 

Rhodia SA, Global Senior Subordinated Notes (Callable 06/01/07 @ $104.44) (France)

 

(B- , B3)

 

06/01/11

 

8.875

 

311,250

 

 

 

 

 

 

 

 

 

 

 

2,362,687

 

 

 

 

 

 

 

 

 

 

 

 

 

Diversified Capital Goods (0.3%)

 

 

 

 

 

 

 

 

 

425

 

Sensata Technologies BV., Rule 144A, Notes (Callable 05/01/11 @ $104.50) (Netherlands)‡

 

(B- , B3)

 

05/01/16

 

9.000

 

548,867

 

 

 

 

 

 

 

 

 

 

 

 

 

Electronics (0.8%)

 

 

 

 

 

 

 

 

 

400

 

Avago Technologies Finance PTE., Rule 144A, Senior Subordinated Notes (Callable 12/01/10 @ $105.94) (Singapore)‡

 

(CCC+ , Caa1)

 

12/01/15

 

11.875

 

441,000

 

300

 

Avago Technologies Funance PTE., Rule 144A, Senior Notes (Callable 12/01/09 @ $105.06) (Singapore)‡

 

(B , B2)

 

12/01/13

 

10.125

 

319,500

 

600

 

Celestica, Inc., Senior Subordinated Notes (Callable 07/01/08 @ $103.94) (Canada)

 

(B , B2)

 

07/01/11

 

7.875

 

606,000

 

475

 

Magnachip Semiconductor, Senior Subordinated Notes (Callabe 12/15/09 @ $104.00) (South Korea)

 

(B- , B3)

 

12/15/14

 

8.000

 

290,937

 

 

 

 

 

 

 

 

 

 

 

1,657,437

 

 

 

 

 

 

 

 

 

 

 

 

 

Food & Drug Retailers (0.4%)

 

 

 

 

 

 

 

 

 

925

 

Jean Coutu Group (PJC), Inc., Global Senior Subordinated Notes (Callable 08/01/09 @ $104.25) (Canada)

 

(B- , Caa2)

 

08/01/14

 

8.500

 

894,937

 

 

 

 

 

 

 

 

 

 

 

 

 

Forestry & Paper (1.3%)

 

 

 

 

 

 

 

 

 

350

 

Abitibi-Consolidated, Inc., Global Notes (Canada)

 

(B+ , B1)

 

06/15/11

 

7.750

 

322,000

 

700

 

Abitibi-Consolidated, Inc., Yankee Senior Notes (Canada)§

 

(B+ , B1)

 

04/01/15

 

8.375

 

640,500

 

550

 

Bowater Canada Finance Corp., Global Company Guaranteed (Canada)

 

(B+ , B2)

 

11/15/11

 

7.950

 

528,000

 

500

 

JSG Funding PLC, Global Senior Notes (Callable 10/01/07 @ $104.81) (Ireland)

 

(B- , B3)

 

10/01/12

 

9.625

 

530,000

 

750

 

JSG Funding PLC, Senior Subordinated Notes (Callable 01/31/10 @ $103.88) (Ireland)

 

(B- , Caa1)

 

04/01/15

 

7.750

 

712,500

 

250

 

Tembec Industries, Inc., Global Company Guaranteed Notes (Canada)

 

(CCC- , Ca)

 

03/15/12

 

7.750

 

127,500

 

 

 

 

 

 

 

 

 

 

 

2,860,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure (0.4%)

 

 

 

 

 

 

 

 

 

150

 

Intrawest Corp., Global Senior Notes (Callable 10/15/08 @ $103.75) (Canada)

 

(B+ , B1)

 

10/15/13

 

7.500

 

161,812

 

750

 

NCL Corp., Global Senior Notes (Callable 07/15/09 @ $105.31) (Bermuda)

 

(B , B3)

 

07/15/14

 

10.625

 

729,375

 

 

 

 

 

 

 

 

 

 

 

891,187

 




 

Media - Broadcast (0.0%)

 

 

 

 

 

 

 

 

 

4,600

 

Australis Holdings Pty. Ltd., Yankee Senior Discount Notes (Australia) ^Ø

 

(NR , NR)

 

11/01/02

 

15.000

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Media - Cable (0.9%)

 

 

 

 

 

 

 

 

 

500

 

Kabel Deutschland GmbH, Rule 144A, Company Guaranteed Notes (Callable 07/01/09 @ $105.31) (Germany)‡

 

(B- , B2)

 

07/01/14

 

10.625

 

538,750

 

400

 

Ono Finance PLC, Rule 144A, Company Guaranteed Notes (Callable 05/15/09 @ $105.25) (United Kingdom)‡

 

(CCC+ , B3)

 

05/15/14

 

10.500

 

542,169

 

 

 

 

 

 

 

 

 

 

 

 

 

393

 

Telenet Group Holding NV, Rule 144A, Discount Notes (Callable 12/15/08 @ $105.75) (Belgium) ‡+

 

(CCC+ , Caa1)

 

06/15/14

 

0.000

 

345,840

 

400

 

Unity Media GMBH, Rule 144A, Senior Notes (Callable 02/15/10 @ $105.06) (Germany)‡

 

(CCC+ , Caa2)

 

02/15/15

 

10.125

 

491,499

 

 

 

 

 

 

 

 

 

 

 

1,918,258

 

 

 

 

 

 

 

 

 

 

 

 

 

Metals & Mining Excluding Steel (0.0%)

 

 

 

 

 

 

 

 

 

924

 

International Utility Structures, Inc., Subordinated Notes (Canada)^Ø

 

(NR , NR)

 

02/01/08

 

13.000

 

0

 

800

 

International Utility Structures, Inc., Yankee Senior Subordinated Notes (Canada)^Ø

 

(NR , NR)

 

02/01/08

 

10.750

 

0

 

 

 

 

 

 

 

 

 

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

Packaging (0.2%)

 

 

 

 

 

 

 

 

 

400

 

Gerresheimer Holdings GMBH, Rule 144A, Company Guaranteed Notes (Callable 02/15/10 @ $103.94) (Germany)‡

 

(B- , Caa1)

 

03/01/15

 

7.875

 

514,301

 

 

 

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals (0.3%)

 

 

 

 

 

 

 

 

 

400

 

Biovail Corp. Yankee Senior Subordinated Notes (Callable 04/01/07 @ $101.97) (Canada)

 

(BB- , B1)

 

04/01/10

 

7.875

 

402,000

 

275

 

Elan Finance PLC, Global Company Guaranteed Notes (Callable 11/15/08 @ $103.88) (Ireland)

 

(B , B3)

 

11/15/11

 

7.750

 

269,156

 

 

 

 

 

 

 

 

 

 

 

671,156

 

 

 

 

 

 

 

 

 

 

 

 

 

Support - Services (0.3%)

 

 

 

 

 

 

 

 

 

675

 

Ashtead Holdings PLC., Rule 144A, Secured Notes (Callable 08/01/10 @ $104.31) (United Kingdom)‡

 

(B , B3)

 

08/01/15

 

8.625

 

688,500

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Integrated/Services (2.2%)

 

 

 

 

 

 

 

 

 

750

 

Global Crossing UK Finance PLC., Global Company Guaranteed Notes (Callable 12/15/09 @ $105.38) (United Kingdom)

 

(B- , B3)

 

12/15/14

 

10.750

 

807,188

 

400

 

Hellas Telecom, Rule 144A, Secured Notes (Callable 10/15/06 @ $102.00) (Luxembourg)‡#

 

(B , B1)

 

10/15/12

 

6.014

 

519,368

 

1,200

 

Intelsat Ltd., Rule 144A, Senior Notes (Callable 06/15/11 @ $105.62) (Bermuda)‡

 

(B , Caa1)

 

06/15/16

 

11.250

 

1,281,000

 

975

 

Intelsat Ltd., Global Notes (Bermuda)

 

(B , Caa1)

 

04/15/12

 

7.625

 

858,000

 

250

 

Intelsat Subsidiary Holding Company, LTD., Global Senior Notes (Callable 01/15/09 @ $104.13) (Bermuda)

 

(B+ , B2)

 

01/15/13

 

8.250

 

254,375

 

650

 

Nordic Telephone Co. Holdings, Rule 144A, Notes (Callable 05/01/07 @ $102.00) (Denmark)‡#

(B , B2)

 

 

05/01/16

 

8.352

 

861,469

 

 

 

 

 

 

 

 

 

 

 

4,581,400

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecom - Wireless (0.3%)

 

 

 

 

 

 

 

 

 

500

 

Millicom International Cellular SA, Global Senior Notes (Callable 12/01/08 @ $105.00) (Luxembourg)

 

(B- , B3)

 

12/01/13

 

10.000

 

539,375

 

 

 

 

 

 

 

 

 

 

 

 

 

Telecommunications - Equipment (0.1%)

 

 

 

 

 

 

 

 

 

275

 

Nortel Networks Ltd., Rule 144A, Company Guaranteed Notes (Canada)‡#

 

(B- , B3)

 

07/15/11

 

9.731

 

285,313

 

 

 

 

 

 

 

 

 

 

 

 

 

Textiles & Apparel (0.2%)

 

 

 

 

 

 

 

 

 

275

 

IT Holdings Finance SA, Rule 144A, Senior Notes (Luxembourg)‡

 

(CCC+ , Caa1)

 

11/15/12

 

9.875

 

326,584

 

 

 

 

 

 

 

 

 

 

 

 

 

Transportation Excluding Air/Rail (1.0%)

 

 

 

 

 

 

 

 

 

700

 

Sea Containers Ltd., Series B, Yankee Senior Notes (Bermuda)§

 

(NR , Ca)

 

02/15/08

 

7.875

 

563,500

 

1,350

 

Ship Finance International Ltd., Global Senior Notes (Callable 12/15/08 @ $104.25) (Bermuda)

 

(B , B1)

 

12/15/13

 

8.500

 

1,309,500

 

250

 

Stena AB, Global Senior Notes (Callable 12/01/09 @ $103.50) (Sweden)

 

(BB- , Ba3)

 

12/01/16

 

7.000

 

236,875

 

 

 

 

 

 

 

 

 

 

 

2,109,875

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL FOREIGN CORPORATE OBLIGATIONS
(Cost $25,025,989)

 

 

 

 

 

 

 

21,446,627

 

 

 

 

 

 

 

 

 

 

 

 

 

SHORT- TERM INVESTMENTS (10.3%)

 

 

 

 

 

 

 

 

 

424

 

Bank of America (London) overnight deposit (Cost $424,000)

 

 

 

10/02/06

 

4.380

 

424,000

 

 

Number

 

 

 

 

 

of Shares

 

 

 

 

 

21,628,869

 

Securities Lending Investment Fund, a series of the Brown Brothers
Investment Trust§§

 

21,628,869

 

TOTAL SHORT-TERM INVESTMENTS (Cost $22,052,869)

 

22,052,869

 

 

 

 

 

 

 

TOTAL INVESTMENTS (106.8%)
(Cost $235,397,674)

 

227,405,254

 

 

 

 

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS (-6.8%)

 

(14,479,878

)

 

 

 

 

 

 

NET ASSETS (100%)

 

 

 

Applicable to 49,895,588 issued and outstanding $.001 par value shares (authorized
100,000,000 shares)

 

$

212,925,376

 

 

INVESTMENT ABBREVIATIONS

NR= Not Rated




 

Credit ratings given by the Standard & Poor's Division of The McGraw-Hill Companies, Inc. (“S&P”) and Moody’s Investors Service, Inc. “Moody’s”) are unaudited.

Security exempt from registration under Rule 144A, of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2006, these securities amounted to a value of $31,143,430 or 15.0% of net assests.

^

Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Directors.

#

Variable Rate - The interest rate changes on these instruments based upon a designated base rate. The rates shown are those in effect at September 30, 2006.

+

Step Bond - The interest rate stated is the rate as of September 30, 2006.

Ø

Security in default.

*

Non-income producing security.

++

Less then 1,000 par.

§

Security or portion thereof is out on loan.

§§

Represents security purchased with cash collateral received for securities on loan.

 

Security Valuation – The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the “Exchange”) on each day the Exchange is open for business. Debt securities with a remaining maturity greater than 60 days are valued in accordance with the price supplied by a pricing service, which may use a matrix, formula or other objective method that takes into consideration market indices, yield curves and other specific adjustments. Debt obligations that will mature in 60 days or less are valued on the basis of amortized cost, which approximates market value, unless it is determined that using this method would not represent fair value. The Fund’s equity investments are valued at market value, which is generally determined using the closing price on the exchange or market on which the security is primarily traded at the time of valuation (“Valuation Time”). If no sales are reported, equity investments are generally valued at the most recent bid quotation as of the Valuation Time or at the lowest asked quotation in the case of a short sale of securities. Investments in mutual funds are valued at the mutual fund’s closing net asset value per share on the day of valuation. Securities and other assets for which market quotations are not readily available, or whose values have been materially affected by events occuring before the Fund’s Valuation Time but after the close of the securities, primary markets, are valued at fair value as determined in good faith by, or under the direction of, the Board of Directors under procedures established by the Board of Directors. At September 30, 2006, the Fund held 0.38% of its net assets in securities valued at fair value as determined in good faith under procedures established by the Board of Directors with an aggregate cost of $8,420,963 and fair value of $797,456. The Fund’s estimate of fair value assumes a willing buyer and a willing seller neither acting under the compulsion to buy or sell. Although these securities may be resold in privately negotiated transactions, the prices realized on such sales could differ from the prices originally paid by the Fund or the current carrying values, and the difference could be material.

Federal Income Tax Cost – At September 30, 2006, the identified cost for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized depreciation from investments were $235,397,674, 5,086,815, (13,079,235), and $(7,992,420) respectively.

Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is also available on the Fund’s website at http://www.credit-suisse.com/us as well as on the website of the Securities and Exchange Commission – http://www.sec.gov.




Item 2:                   Controls and Procedures

(a)           As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.

(b)           There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3:                   Exhibits

1.             The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.




SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CREDIT SUISSE ASSET MANAGEMENT INCOME FUND, INC.

 

 

 

/s/Steven Plump

 

 

Name:

Steven Plump

 

Title:

Chief Executive Officer

 

Date:

November 21, 2006

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

/s/Steven Plump

 

 

Name:

Steven Plump

 

Title:

Chief Executive Officer

 

Date:

November 21, 2006

 

/s/Michael A. Pignataro

 

 

Name:

Michael A. Pignataro

 

Title:

Chief Financial Officer

 

Date:

November 21, 2006